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| Format: | Artículo científico |
| Language: | en |
| Published: |
Universidad de Antioquia
2016
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| Subjects: | |
| Online Access: | https://www.redalyc.org/articulo.oa?id=155246479003 https://www.redalyc.org/journal/1552/155246479003/ https://www.redalyc.org/journal/1552/155246479003/html/ https://www.redalyc.org/journal/1552/155246479003/155246479003.epub https://www.redalyc.org/journal/1552/155246479003/movil |
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Table of Contents:
- Identifying Interbank Loans, Rates, and Claims Networks from Transactional Data Carlos León Jorge Cely Carlos Cadena Economía y Finanzas IBR interbank rate Furfine’s method Ourobjectiveistoidentifyinterbank(i.e.,non-collateralized)loansbetweenfinancialinstitutionsfromColombian large-value payment system data by implementing Furfine’s method. After identifying interbank loans from transactional data, we obtain the interbank rates and claims without relying on financial institutions’ reported data. Contrasting identified loanswiththoseconsolidatedfromfinancialinstitutions’reporteddatasuggeststhealgorithmperformswell,anditisrobustto changesinitssetup. Theweightedaveragerateimplicitintransactionaldatamatcheslocalinterbankratebenchmarksstrictly. From identified loans, we also build the interbank claims network. The three main outputs (i.e., the interbank loans, the rates, and the claims networks) are valuable for examining and monitoring the money market, for contrasting data reported by financial institutions, and as inputs in models of financial contagion and systemic risk. 2016 artículo científico 0120-2596 https://www.redalyc.org/articulo.oa?id=155246479003 https://www.redalyc.org/journal/1552/155246479003/ https://www.redalyc.org/journal/1552/155246479003/html/ https://www.redalyc.org/journal/1552/155246479003/155246479003.epub https://www.redalyc.org/journal/1552/155246479003/movil en http://www.redalyc.org/revista.oa?id=1552 Lecturas de Economía application/pdf Universidad de Antioquia Lecturas de Economía (Colombia) Num.85